**6**

votes

**0**answers

97 views

### A specific case of the $p$-center problem

Given a fixed positive integer $m$, let $\cal{S}$ be the subset from $\mathbb{R}^m$ defined as $\cal{S} = \{u \in \mathbb{R}^m \mid \forall i \in \{1, \dots, m\}, u(i) > 0$ and $\sum_{i=1}^m{u(i) = ...

**6**

votes

**0**answers

147 views

### Numerical linear algebra: how to compute $B^TC^{−1}B$ efficiently

Hi,
my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$.
The matrix $C$ is huge ($n$ up to a ...

**5**

votes

**0**answers

59 views

### Finding the optimal mixture of two convex functions

I am trying to find an efficient way to solve the problem $$\min_{p,x_1,x_2} p\cdot f(x_1)+ (1-p) \cdot f(x_2)~~~~~ s.t.\\p\cdot g_1(x_1) + (1-p)\cdot g_2(x_2)\leq 1 \\ 0\leq p \leq 1$$ where ...

**5**

votes

**0**answers

169 views

### Characterizing matrices with rank constraint

Given matrix $M\in\Bbb\{0,1\}^{n\times n}$, is there a nice method to characterize $$\mathscr{D}[M]=\{Q\in\Bbb\{0,1\}^{n\times n}:\mathsf{rank}(M-Q)= \mathsf{rank}(Q),\quad M-Q\in\Bbb\{0,1\}^{n\times ...

**4**

votes

**0**answers

170 views

### When is the sum of a weak-$*$ closed convex cone and a subspace also weak-$*$ closed?

Let $X$ be a Banach space. Suppose $C \subset X^*$ is a convex cone and $V \subset X^*$ is a subspace, and suppose both $C$ and $V$ are closed in the weak-$*$ topology. Are there any general ...

**3**

votes

**0**answers

101 views

### This function looks quasiconvex, can't understand why

Suppose that $\mathbf{C}$ is a given matrix with non-negative entries in $\mathbb{R}^{m\times n}$ and $d$ is a given scalar, and let $g(\mathbf{y})$ be defined by ...

**3**

votes

**0**answers

297 views

### An intuition for three different types of subgradients (proximal, regular, limiting)

I'm having a bit of difficulty getting my head around the different types of subgradients we're currently covering in a nonsmooth optimisation class I'm taking.
These subgradients are (assume $x \in$ ...

**3**

votes

**0**answers

364 views

### Coordinate mirror descent

Let $f$ be a jointly convex function of 2 variables say $x,y$. I am interested in solving the optimization problem $$\min_{x,y\in\Delta} f(x,y)$$ where $\Delta$ is a $d$ dimensional simplex. An ...

**2**

votes

**0**answers

332 views

### On increasing the penalty term in convex optimization with regularization

Given the two strictly convex (unique solution) optimization problems as:
$$Problem\:1:\min_{X} f(X)+\|X\|_{F}^2 \hspace{2cm}Problem \:2:\min_{X}f(X)+n\|X\|_2^2$$
where $X\in\mathbf{S}_{++}^{n}$ ...

**2**

votes

**0**answers

51 views

### Reference request: Edmond's Algorithm for integer hull

I'm looking for a good reference for the algorithm (supposedly by Edmonds) to compute the integer hull of a polytope, not by cutting plane methods but by starting with a set of integer points and then ...

**2**

votes

**0**answers

141 views

### proving quasi convexity of multivariable function

Given
an arbitrary $(N \times N)$ square matrix ${\bf X}$
a positive definite $(M\times M)$ matrix ${\bf T}$
a $(Q\times MN), Q< MN$ matrix ${\bf Z}$ consisting of only 1s and 0s where there is
...

**2**

votes

**0**answers

182 views

### Continuity of minimizers to distance function from point to convex set

Suppose I am minimizing the Euclidean distance in $\mathbb{R}^{n}$ between a point $y$ and compact convex set $U$ (where $y\notin U$):
$\min_{x\in U}\|x-y\|$.
I believe the minimizer $x_{U}^{*}$ is ...

**2**

votes

**0**answers

106 views

### Optimality condition for non-differentiable constrained convex optimization problem

(EDIT: see proof at the end) Consider the problem
$$
\min f(x) \; \text{s.t.} \; x\in D
$$
where $f(x)$ is convex but not differentiable, and $D$ is convex.
For differentiable $f$, we know that $x$ ...

**2**

votes

**0**answers

157 views

### Quadratic optimization with parameter in constraint

Disclaimer: I posted the same question on math.stackexchange. However, the FAQ suggests to post research-level questions in this forum.
Question: Given a function $q: \mathbb R^{N\times N}\mapsto ...

**1**

vote

**0**answers

26 views

### Condition for maximizer of convex combination to be expansion mapping

I have $\Pi_n:\mathbb R^{n+1}\rightarrow \mathbb R$ and $F_n:\mathbb R^2\rightarrow \mathbb R$ with $$F_n(x,a)=\Pi_n(x,...,x,a)$$
$$f_n(x)=\operatorname{ArgMax}_{a\in\mathbb R}\{F_n(x,a)\} $$
such ...

**1**

vote

**0**answers

48 views

### On compactness in Sion's minimax theorem

Sions minimax theorem (wiki, paper) can be stated as follows:
Let $X$ be a compact convex subset of a linear topological space and $Y$ a convex
subset of a linear topological space. Let $f$ be a ...

**1**

vote

**0**answers

71 views

### A version of isotone projection cones

We write $a \succeq b$, where both $a, b \in \mathbb{R}^n$, as a shorthand for $a_i \ge b_i$ for all $1 \le i \le n$. Let $C$ be a closed convex cone in the first orthant of $\mathbb{R}^n$ and denote ...

**1**

vote

**0**answers

44 views

### Likelihood convexification

I am doing constrained vector optimization using a non-convex non-linear likelihood function. My problem is of the following form:
$$\begin{align*}\hat Q &= \underset{\vec Q}{\arg\min} -\log ...

**1**

vote

**0**answers

70 views

### Proximal Mapping of composition with linear operator

Let $A$ be an orthogonal matrix. Then the proximal mapping $prox_{f \circ A}(x)$ can be evaluated efficiently by
$$
(I + \partial (f \circ A))^{-1}(x) = prox_{f \circ A}(x) = A^T prox_{f}(A x),
$$
as ...

**1**

vote

**0**answers

71 views

### Restricted strong convexity for biconvex functions

Recently, it has been shown (arxiv paper) that non-convex functions with the restricted strong convexity (RSC) property has the interesting property that their local minima lie within a small ball of ...

**1**

vote

**0**answers

74 views

### What is the purpose of the definition of “metric regularity”/“regularity modulus”?

A set mapping $F:X \rightrightarrows Y$ is said to be metrically regular for $\overline{x}\in X$ and $\overline{y} \in Y$ if there exists a $\kappa\in(0,\infty)$ for which
$$
d(x,F^{-1}(y))\leq ...

**1**

vote

**0**answers

48 views

### Is there a unique tilted measure with specified marginals?

Suppose $\mathcal{A},\mathcal{B}$ are finite sets and $\mu_{A,B}(a,b)$ is a probability measure on the product set $\mathcal{A}\times \mathcal{B}$ so that $\mu_{A,B}(a,b)>0$ for each $a\in ...

**1**

vote

**0**answers

87 views

### Convex Optimization related problem

Suppose two non-negative convex functions $f$ and $g$ be given.
We want to solve the following optimization
$$\max_{g\leq\epsilon}f.$$
Now suppose that both $f$ and $g$ can be upper-bounded by a ...

**1**

vote

**0**answers

39 views

### Changing a nonlinear equality constraint into some conic inequality plus rank constraint

If we have a constraint optimization problem in which one of our constraint is $\prod\limits_{k = 1}^N {\left( {x - {a_k}} \right) = 0} $ . How could this nonlinear equality condition be changed into ...

**1**

vote

**0**answers

44 views

### Characterization of the optimal solution in relative entropy minimization

The following optimization problem is related to relative entropy and to the limit of the iterative proportional fitting procedure.
For $1 \leq i,j \leq n$ and fixed $w_{ij} \geq 0$, and fixed $a_i, ...

**1**

vote

**0**answers

108 views

### Diagonal entries of a Cholesky factorization

Let $I$ denote an identity matrix, $E$ denote the all-one matrix of dimension $k\times k$ and $c$ some positive real number. Define $X=B(I-cE)B^T$ where $B$ is given by
$B:=\begin{pmatrix}
1 ...

**1**

vote

**0**answers

33 views

### Searching for the maximum of a (strictly convex) two-dimensional distribution via maximization over a series of arbitrarily specified 1D intervals

Let $f$ be a strictly convex two-dimensional distribution with a maximum $M$ at some unknown position $(x_m,y_m)$. Starting from the origin, $(x_0,y_0) = (0,0)$, we need to find $(x_m,y_m)$, however ...

**1**

vote

**0**answers

153 views

### Extreme points of a set related to semidefinite cone

Let $X \in \mathbb{R}^{n \times n}$ be symmetric matrix. Consider the following set
$$
\mathcal{C} = \{ X: X \succeq 0, \quad 0 \le X_{ij} \le 1, \forall i,j\}
$$
What are the extreme points of this ...

**1**

vote

**0**answers

144 views

### How to solve such an optimization problem efficiently？

Given a symmetric positive semi-definite matrix $\mathbf Y$ and a convex set $\mathcal M$ which is a subset of all symmetric positive semi-definite matrices (consider a simple case of $\mathcal M$： a ...

**1**

vote

**0**answers

117 views

### Maximizing an integral over a convex region

Let $C$ denote a compact, convex region in the plane containing the origin with unit area, and let $f$ be a probability distribution on $C$. Let $f^\ast$ denote the distribution that maximizes the ...

**1**

vote

**0**answers

202 views

### Lipschitz continuity of solution set mapping of a parametric convex optimization problem

I have a parametric convex optimization problem:
\begin{array}{cl}
\underset{x}{\text{minimize}} & f\left(x,z\right)\\
\text{subject to} & g\left(x\right)\leq0
\end{array}
where $x$ is the ...

**1**

vote

**0**answers

77 views

### Checking feasibility with eigenvalue and linear constraints

Is there an efficient algorithm to check the simultaneous feasibility of linear and eigenvalue constraints? For example, given $ \lambda_1 \ge \lambda_2 \ge 0$, is the following problem efficiently ...

**1**

vote

**0**answers

107 views

### Interior point optimisation using big M for L1 norm on linear system using Dikin's Affine method

I am a 4th year undergrad surveying student studying computations, specifically $L_{1}$ norm minimisation of residuals in large data sets. To start with (and probably to finish with) I'm using a set ...

**1**

vote

**0**answers

137 views

### Recovering a partition from spectral properties of the graph Laplacian

Let $G$ be a weighted graph with vertices $V$. Let $W$ be its real-valued, non-negative, $|V|\times|V|$ adjacency/affinity matrix. Let $L = \mathrm{diag}(W\mathbf1)-W$ be the (unnormalized) graph ...

**1**

vote

**0**answers

107 views

### minimizing the sum of euclidean norms

minimizing the sum of euclidean norms with box constraints
I am a graduate student in computer science, making a thesis on uncertainty geometry. During my thesis I came across the following ...

**0**

votes

**0**answers

17 views

### Relaxation of non-convex QCQP with one quadratic and one linear constraint

According to Boyd we know that a non-convex QCQP problem with one quadratic constraint has strong duality with the relaxed SDP or Lagrange counterpart. (check "Convex Optimization" by Boyd, Appendix ...

**0**

votes

**0**answers

21 views

### Can I use proximal algorithms on complex real-valued functions?

There is a plethora of literature in proximal operators and proximal optimization algorithms specially for Compressive sensing. A proximal operator is defined as
\begin{equation}
...

**0**

votes

**0**answers

51 views

### Constrained optimal control problem

I am trying to solve an optimization problem which is probably reminiscent of optimal control theory but all of this is not exactly my field of expertize and I am a little bit lost in translation. If ...

**0**

votes

**0**answers

43 views

### Finding a movement taking out of a convex set

There is a convex set $S$ as the hull of M points in an D-dimensional Euclidean space and a point $\vec P$ in the set. Then, there is a set of vectors $\vec W$ taking the form $\vec W=\sum_{i=1}^N ...

**0**

votes

**0**answers

25 views

### Practical bundle methods

What is the most widely applied bundle method currently available? I am trying to solve a large convex optimization as accurate as possible with dimension being roughly 5000+.... Thank you.

**0**

votes

**0**answers

48 views

### Characterization of the maximizer of a function based on a parameter's value

Consider a smooth, continuously differentiable, and jointly concave function $f(x,y,z;a)$, where $x,y$ and $z$ are decision variables and $a$ is a problem parameter.
I have two optimization problems. ...

**0**

votes

**0**answers

100 views

### Hadamard / matrix product adjoint

First of all I would like to thank everyone over here at mathoverflow for their amazing generosity and help (for both pros and newbies like myself).
I apologize if this question seems dumb; I'm a new ...

**0**

votes

**0**answers

39 views

### Least square problems with binary variables

I want to solve the heat equation $T_t(x,t) = - L_x . T(x,t) + F(x,t)$ in an edge-weighted graph where $L_x = \sum_i x_i e_{ij}$ is weighted Laplacian matrix of the graph. Then I conclude to the ...

**0**

votes

**0**answers

94 views

### Matrix equation

Let $A$ be $k\times n$ matrix i.e., $A=(a_{1},\ldots, a_{n})$ where $a_{j} \in \mathbb{R}^{k}$, $rank(A)=k$ and $1\leq k \leq n$. Let $q=(q_{1},\ldots, q_{n})\in\mathbb{R}^{n}$ be such that ...

**0**

votes

**0**answers

68 views

### Convergence of Coordinate Descent / Alternating directions

My question regards this method
http://en.wikipedia.org/wiki/Coordinate_descent,
where at each step a function $f$ is minimized along one coordinate axis (or block of coordinates).
Assume that $f: ...

**0**

votes

**0**answers

64 views

### numerical and functional mixed optimization problem $\max f - \min f +\int_{-1}^1 (f'(x)-x)^2dx$

Given a function $g(x)$ and its domain, we want to get another function $f(x)$ whose derivative is approximately $g(x)$, but so that $f(x)$ itself has small variation. For example, for ...

**0**

votes

**0**answers

55 views

### Finding gradient of an optimization

I am trying to find the gradient of the following optimization problem and then add to objective, but I got some trouble in computing. Could you please help me?
Assume that we have an optimization ...

**0**

votes

**0**answers

268 views

### Proximal operator of modified L1 matrix norm

In literature proximal operator $prox_{\lambda f} : R^n \rightarrow R^n$ of $f$ is defined as:
$prox_{\lambda f}(V) = argmin(X) (f(X) + (1/2 \lambda)||X-V||^2_2)$
Consider now $g(X) = ...

**0**

votes

**0**answers

59 views

### Sufficient optimality condition for a non-smooth quasiconvex problem

The result of relaxing to an integer program is the following optimization problem:
$$\min_{\textbf{x}} \sum_{i=1}^n \alpha_i h(x_i)\quad subject \; to \quad A\textbf{x} = \textbf{0}$$
where ...

**0**

votes

**0**answers

112 views

### Min of a real-valued Fourier transform

Let $P$ be a compact, convex, symmetric, $d$-dimensional body in $\mathbb R^d$, and let $\mu$ be a (necessarily) symmetric probability measure on $P$, so that
$\mu_P(x) = \mu_P(-x)$, for all $x \in ...